Market Risk Management under Basel III/FRTB

The new Basel III framework for market risk, also known as the Fundamental Review of the Trading Book or FRTB, represents a pivotal change in the way banks’ trading businesses will be capitalized, regulated, and managed. As banks intensify their implementation efforts and deepen their knowledge of FRTB, this intensive course will be timely for learning the best practices for tackling the myriad of challenges that lie ahead, as well as looming implementation deadlines. Attend the full series of eleven 90-minute lessons. Lessons launch each Tuesdays, January 21 - March 31, 2020. Added bonus session (Lesson 12): "FRTB 2.0 - What's New," launches April 7, 2020.

The new Basel III framework for market risk, also known as the Fundamental Review of the Trading Book or FRTB, represents a pivotal change in the way banks’ trading businesses will be capitalized, regulated, and managed. Over a decade in the making, FRTB will profoundly impact business lines, trading volumes, and the use of technology platforms. Its implementation and management will require multi-year efforts and substantial resources on the part of banks and supervisory bodies alike. As banks intensify their implementation efforts and deepen their knowledge of FRTB, this intensive course will be timely for learning the best practices for tackling the myriad of challenges that lie ahead, as well as looming implementation deadlines.

This in-depth 11-week course is designed for trading, risk, finance, audit, and regulatory professionals with selectable streams tailored for each student’s prior knowledge and functional responsibilities. Selectable introductory streams designed for delegates who are new to FRTB are provided. Later lessons delve more deeply into the nuances of how FRTB will impact specific sectors and functionalities. Our final lesson addresses what remains to be adjudicated within the BCBS and national supervisors prior to implementation, as well as to address likely timelines for key milestones within specific jurisdictions.

Define and establish banking and trading book boundaries for any given instrument or desk

Understand the mechanics and nuances of implementing Standardized and Internal Models Approaches

Walk through the capital impact of typical trade types and model portfolios Understand the new dynamics and challenges of defining, accessing, and utilizing market data in various jurisdictions and risk factors under FRTB

Optimize capital impact from the P&L Attribution test

Minimize the impact from Non-Modellable Risk Factors (NMRFs)–currently 30% of regulatory capital on average to levels which potentially bring capital requirements to lower levels than existing Basel 2.5

Plan for specialized RTDs such as the Internal Risk Transfer (IRT) desk, new roles for the xVA desk, and the securitization desk

Create solutions for capital cliffs and capital floors

Budget, plan, and manage the FRTB implementation process in a manner most appropriate for your jurisdiction and bank position

Describe how the granularity of risk sensitivities affects the relationship between non-modellable risk factors and the P&L Attribution test

Explain why the Basel 2.0 framework for market risk failed in the 2007-2009 period and how FRTB seeks to improve the framework

Demonstrate how changes to regulatory trading desk structures may improve both the efficiency and stability of a bank’s regulatory capital regime

Agenda

Date

Lesson/Topic

January 21

Lesson 1: Market Risk Concepts and Challenges–The Genesis of FRTB

January 28

Lesson 2: New Fundamentals I

February 4

Lesson 3: New Fundamentals II

February 11

Lesson 4: Standardized Approach Now Required for All Banks

February 18

Lesson 5: Internal Models Approach (IMA)

February 25

Lesson 6: Default Risk Charge (DRC)

March 3

Lesson 7: IMA’s Most Pernicious Challenges, Part I

March 10

Lesson 8: IMA’s Most Pernicious Challenges, Part II

March 17

Lesson 9: New Regime for Model Governance and Risk Transparency

March 24

Lesson 10: Implementation Timelines/Milestones

March 31

Lesson 11: Supervisory Implementation

April 7

Bonus Session: FRTB 2.0 - What's New

Each online 90-minute lesson is broken into three 30-minute sub-lessons. Each lesson is launched weekly and you can access lessons any time during the course period to view the pre-recorded lectures and participate in learning activities, discussion forums, recommended readings, or submit questions to your instructor. Access to the instructor will conclude one week following the last lesson launch date, but you can access the course for one full year to further support your learning.

Sanjay Sharma, PhD, is the Founder and Chairman of GreenPoint Global – a risk advisory, technology, education, legal and compliance services firm headquartered in New York. Founded in 2006, GreenPoint has grown to over 350 employees and over 40 consultants with a global footprint. During 2007-16, Sanjay was the Chief Risk Officer of Discretionary Capital Group and Managing Director in Fixed Income and Currencies Risk Management at RBC Capital Markets in New York. His career in the financial services industry spans over 25 years during which he has held investment banking, risk management and technology transformation positions at Goldman Sachs, Merrill Lynch, Citibank, Moody’s, and Natixis. Sanjay is the author of Risk Transparency (Risk Books, 2013) and has published several papers. Sanjay is co-author of the book Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators, published by RiskBooks, Incisivemedia (2018).

He is an Adjunct Professor at New York University and Fordham’s quantitative finance programs, and financial markets program at EDHEC in Nice, France. He has served as the Founding Director of the RBC/Hass Fellowship Program at the UC Berkeley, and a member of the Board of Directors of UPS Capital (a Division of UPS). He is a former member of the Global Board of Directors for PRMIA. He holds a Ph.D. in Finance from New York University and an MBA from the Wharton School of Business and has undergraduate degrees in Physics and Marine Engineering.

John “Jeb” Beckwith is Managing Director of GreenPoint’s financial institutions division serving banks and insurers. Jeb brings over 30 years of industry experience in the management of risk, capital markets, lending, and transaction banking practices. Prior to joining GreenPoint, he was Managing Director at RBC Capital Markets for over 10 years. At RBC, Jeb led several front office and risk management groups related to global financial institutions including corporate banking, capital markets cross-sell, regulatory advisory, transaction banking, and trade finance. Jeb founded RBC’s bank regulatory/ratings advisory team and founded/chaired RBC’s committee to adjudicate global limits for all bank and sovereign counterparty risks. Prior to joining RBC, Jeb held various management and corporate banking positions with increasing levels of responsibility at MUFG, Bank of America and BNY-Mellon.

Jeb is an Adjunct Professor at New York University’s Tandon School and at Fordham University’s school of financial engineering. Jeb has published several papers on banking regulation and is co-author of the book Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators, published by RiskBooks, Incisivemedia (2018).

Continued Risk Learning Credits: 19

PRMIA Continued Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email learning@prmia.org.

Registration

Membership Type

Price

Sustaining, Corporate, and RIM Members

$699

Contributing Member

$799

Non Member

$899

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